Efectos asimétricos en la relación de los precios bursátiles con el tipo de cambio, los precios mundiales del petróleo y la tasa de interés ante la pandemia de Covid-19
DOI:
https://doi.org/10.29201/peipn.v16i32.14Palabras clave:
Mercado accionario, tipo de cambio, precio del petróleo, tasa de interés, modelo NARDLResumen
En este artículo se analiza cómo ha sido la influencia del tipo de cambio, los precios mundiales del petróleo y la tasa de interés interbancaria de equilibrio (TIIE) a un día sobre el Índice de Precios y Cotizaciones (IPC) de la Bolsa Mexicana de Valores durante el brote de Covid-19, el periodo de confinamiento y el inicio del regreso a la nueva normalidad en México. Mediante un modelo ARDL no lineal (NARDL) se consideran los efectos asimétricos de esas variables sobre el indicador bursátil de diciembre del año pasado al primer semestre de 2020, encontrando que, al menos para el periodo bajo estudio, para explicar el comportamiento bursátil es pertinente considerar efectos diferenciados (asimétricos) en los efectos de las variables enunciadas.
Descargas
Citas
Ahmed, S. (2020). Impact of COVID-19 on Performance of Pakistan Stock Exchange. Available at SSRN3643316. https://doi.org/10.20944/preprints202007.0083.v1
Akhtaruzzaman, M., Boubaker, S. & Sensoy, A. (2020). Financial contagion during COVID–19 crisis. Finance Research Letters, 101604. https://doi.org/10.1016/j.frl.2020.101604
Al-Awadhi, A. M., Al-Saifi, K., Al-Awadhi, A. & Alhamadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 100326. https://doi.org/10.1016/j.jbef.2020.100326
Albulescu, C. T. (2020). COVID-19 and the United States financial markets’ volatility. Finance Research Letters, 101699. https://doi.org/10.1016/j.frl.2020.101699
Alfaro, L., Chari, A., Greenland, A. N. & Schott, P. K. (2020). Aggregate and firm-level stock returns during pandemics, in real time (inf. t´ec.). National Bureau of Economic Research. https://www.nber.org/papers/w26950
Amore, M. D., Pelucco, V. & Quarato, F. (2020). Family Ownership During the Covid-19 Pandemic. https://ssrn.com/abstract=3603991
Ashraf, B. N. (2020a). Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets. Journal of Behavioral and Experimental Finance, 100371. https://doi.org/10.1016/j.jbef.2020.100371
Ashraf, B. N. (2020b). Stock markets’ reaction to COVID-19: cases or fatalities? Research in International Business and Finance, 101249. https://ssrn.com/abstract=3585789
Ashraf, D., Rizwan, M. S. & Ahmad, G. (2020). Islamic Equity Investments and the COVID-19 Pandemic. Available at SSRN 3611898. https://ssrn.com/abstract=3611898
Baldwin, R. & Mauro, B. W. d. (2020). Economics in the Time of COVID-19. https://voxeu.org/content/ economics-time-covid-19
Barro, R. J., Urs´ua, J. F. & Weng, J. (2020). The coronavirus and the great influenza pandemic: Lessons from the “spanish flu” for the coronavirus’s potential effects on mortality and economic activity (inf. t´ec.). National Bureau of Economic Research. http://www.nber.org/papers/w26866.
Cepoi, C.-O. (2020). Asymmetric dependence between stock market returns and news during COVID19 financial turmoil. Finance Research Letters. https : / /www. ncbi . nlm . nih . gov /pmc/ articles /PMC7299872/
Corbet, S., Larkin, C. & Lucey, B. (2020). The contagion effects of the covid-19 pandemic: Evidence from gold and cryptocurrencies. Finance Research Letters, 101554. https://doi.org/10.1016/j.frl.2020.101554
Degiannakis, S., Filis, G. & Arora, V. (2018). Oil prices and stock markets: A review of the theory and empirical evidence. The Energy Journal, 39 (5). https://doi.org/10.5547/01956574.39.5.sdeg
Dietrich, A., Keuster, K., M¨uller, G. J. & Schoenle, R. (2020). News and uncertainty about covid-19: Survey evidence and short-run economic impact. https://ssrn.com/abstract=3573123
Ding, W., Levine, R., Lin, C. & Xie, W. (2020). Corporate immunity to the COVID-19 pandemic (inf. téc.). National Bureau of Economic Research. https://doi.org/10.3386/w27055
Engle, R. F., Ghysels, E. & Sohn, B. (2013). Stock market volatility and macroeconomic fundamentals. Review of Economics and Statistics, 95 (3), 776-797. https://doi.org/10.1162/REST a 00300
Erdem, O. (2020). Freedom and Stock Market Performance during Covid-19 Outbreak. Finance Research Letters. https://doi.org/10.1016/j.frl.2020.101671
Gordon, M. J. (1959). Dividends, earnings, and stock prices. The review of economics and statistics, 99-105. https://doi.org/10.2307/1927792
Gordon, M. J. (1962). The savings investment and valuation of a corporation. The Review of Economics and Statistics, 37-51. https://doi.org/10.2307/1926621
INEGI. (2015). Metodología para la construcción del sistema de indicadores cíclicos (2.a ed.). Instituto Nacional de Estadística y Geografía. https://coronavirus.jhu.edu/map.html
Johns Hopkins University. (2020). COVID-19 Dashboard by the Center for Systems Science and Engineering
(CSSE) at Johns Hopkins University (JHU) [recuperado de Medicina John Hopkins
-07-29]. https://coronavirus.jhu.edu/map.html
Lyócsa, ˇS., Baumohl, E., Výrost, T. & Moln´ar, P. (2020). Fear of the coronavirus and the stock markets. https://www.econstor.eu/handle/10419/219336
McKibbin, W. J. & Fernando, R. (2020). The global macroeconomic impacts of COVID-19: Seven scenarios. https://doi.org/10.2139/ssrn.3547729
OECD. (2020). Coronavirus: The world economy at risk.
OMS. (2020). Coronavirus disease 2019 (COVID-19): situation report-191. https://www. who.int/docs/default-source/coronaviruse/situation-reports/20200729-covid-19-sitrep-91.pdf?sfvrsn=2c327e9e 2
Ramelli, S. & Wagner, A. F. (2020). Feverish stock price reactions to covid-19. Consultado el 21 de abril de 2020, desde https://dx.doi.org/10.2139/ssrn.3550274
Ruiz Estrada, M. A., Koutronas, E. & Lee, M. (2020). Stagpression: The economic and financial impact of Covid-19 Pandemic. Available at SSRN 3593144. https://ssrn.com/abstract=3593144
Schoenfeld, J. (2020). The invisible risk: Pandemics and the financial markets. Available at SSRN 3567249. https://ssrn.com/abstract=3567249
Sharif, A., Aloui, C. & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 101496. https://doi.org/10.1016/j.irfa.2020.101496
Shin, Y., Yu, B. & Greenwood-Nimmo, M. (2011). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. Festschrift in honor of Peter Schmidt (pp. 281-314). Springer.
Takahashi, H. & Yamada, K. (2020). When the Japanese Stock Market Meets COVID-19: Impact of Ownership, China and US Exposure, and ESG Channels. https://ssrn.com/abstract=3577424
Topcu, M. & Gulal, O. S. (2020). The impact of COVID-19 on emerging stock markets. Finance Research Letters, 101691. https://doi.org/10.1016/j.frl.2020.101691
Zaremba, A., Kizys, R., Aharon, D. Y. & Demir, E. (2020). Infected Markets: Novel Coronavirus, Government
Interventions, and Stock Return Volatility around the Globe. Finance Research Letters, 101597. https://doi.org/10.1016/j.frl.2020.101597
Zhang, D., Hu, M. & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 101528. https://doi.org/10.1016/j.frl.2020.101528
Descargas
Publicado
Cómo citar
Número
Sección
Licencia
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-SinDerivadas 4.0.
